Third Fifth Bank has the following balance sheet (in millions) with the risk weights in parentheses.

In addition, the bank has $20 million in commercial direct credit substitute standby letters of credit to a public corporation and $40 million in 10-year FX forward contracts that are in the money by $1 million.

a. What are the risk-weighted on-balance-sheet assets of the bank as defined under Basel III?

b. What are the CET1, Tier I, and total capital amounts required for both offand on-balance-
sheet assets?

c. Disregarding the capital conservation buffer, does the bank have sufficient capital to meet the Basel requirements? How much in excess? How much short?

d. Does the bank have enough capital to meet the Basel requirements, including the capital conservation buffer requirement? If not, what minimum CET1, additional Tier I, or total capital does it need to meet the requirement?

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Assets Cash (0%) $ 21 Deposits Mortgage loans (50%) 50 Liabilities and Equity Subordinated debt (> 5 years) Consumer loans (100%) 70 Equity Reserve for loan losses (1) Total liabilities and equity Total assets 140 $133 1 6 140